A Problem of Sequential Entry and Exit Decisions Combined with Discretionary Stopping

Authors:
Mihail Zervos
Affiliations:
-
Venue:
SIAM Journal on Control and Optimization
Year:
2003

Citing 0
Cited 2

On the One-Dimensional Optimal Switching Problem

Mathematics of Operations Research
Optimal Stopping in Lévy Models for Nonmonotone Discontinuous Payoffs

SIAM Journal on Control and Optimization

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Abstract

We consider a stochastic control problem that has emerged in the economics literature as an investment model under uncertainty. This problem combines features of both stochastic impulse control and optimal stopping. The aim is to discover the form of the optimal strategy. It turns out that this has a priori rather unexpected features. The results that we establish are of an explicit nature. We also construct an example whose value function does not possess C1 regularity.